Mental Capabilities, Trading Styles, and Asset Market Bubbles: Theory and Experiment [PDF]
SSRN Electronic Journal, 2016 We propose that heterogeneous asset trading behavior is the result of two distinct, non-convertible mental dimensions: analytical (“quantitative”) capability and mentalizing (“perspective-taking”) capability. We develop a framework of mental capabilities that yields testable predictions about individual trading behavior, revenue distribution and ...
Andreas Hefti +3 more
semanticscholar +9 more sources
The impact of business conditions and commodity market on US stock returns: An asset pricing modelling experiment [PDF]
Quantitative Finance and Economics, 2022 <abstract> <p>In this paper, two comprehensive mathematical approaches: cubic piecewise polynomial function (CPPF) model and the Fourier Flexible Form (FFF) model are built into asset pricing models to explore the stock market risk, commodity market risk and overall business conditions in relation to US stock returns as a modelling ...
Fangzhou Huang +2 more
doaj +5 more sources
Bubbles, crashes and information contagion in large-group asset market experiments [PDF]
Experimental Economics, 2019 AbstractWe study the emergence of bubbles in a laboratory experiment with large groups of individuals. The realized price is the aggregation of the forecasts of a group of individuals, with positive expectations feedback through speculative demand.
Cars Hommes +6 more
semanticscholar +7 more sources
Perpetual Contract NFT as Collateral for DeFi Composability [PDF]
IEEE Access, 2022 Decentralized Finance (DeFi) is an emerging financial service model based on blockchain technology. DeFi composability denotes the ability for different DeFi services to interact with one another resulting in new forms of financial services.
Hyoungsung Kim +2 more
doaj +2 more sources
Contagion and Return Predictability in Asset Markets: An Experiment With Two Lucas Trees [PDF]
SSRN Electronic Journal, 2019 Using a laboratory experiment, we investigate whether contagion can emerge between two risky assets despite an absence of correlation in their fundamentals. To guide our experimental design, we use the ‘Two trees’ asset pricing model developed by Cochrane, Longstaff and Santa-Clara (2007).
Andreea Victoria Popescu +1 more
openaire +4 more sources
Effects of different ways of incentivizing price forecasts on market dynamics and individual decisions in asset market experiments [PDF]
Journal of Economic Dynamics and Control, 2018 In this study, we investigate (a) whether eliciting future price forecasts influences market outcomes and (b) whether differences in the way in which subjects are incentivized to submit " accurate " price forecasts influence market outcomes as well as the forecasts in an experimental asset market.
Nobuyuki Hanaki +2 more
+8 more sources
The Effect of Risk Sharing on Asset Prices: Natural Experiment from the Chinese Stock Market Liberalization [PDF]
SSRN Electronic Journal, 2015 In a recent stock market reform, over half of the stocks listed in the Shanghai Stock Exchange became purchasable by foreign investors. Theory predicts that the price revaluation of an investible stock should be positively associated with the reduction in systematic risk.
Marc K. Chan, Simon Kwok
+4 more sources
The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment [PDF]
, 2013 Financial markets are thought to be inefficient when they move too much relative to the arrival of information. How big is this inefficiency? In today's markets, this is difficult to determine because the arrival of information is hard to identify. In this paper, I present a natural experiment from history in which the flow of information was regularly
Peter Koudijs
+5 more sources
Asset Market Reactions to News: An Experimental Study [PDF]
, 2010 An experimental asset market is used to test the effect of news concerning the underlying value of an asset on its trading price. Participants were divided into two groups and received different expected earnings values.
Caginalp, Gunduz, Hao, Li, Porter, David
core +3 more sources
Financial market regulation and corporate social responsibility: Evidence from China's new asset management regulation. [PDF]
PLoS OneThis study explores how the financial market environment reshapes corporate social responsibility using a quasi-natural experiment provided by China's New Asset Management Regulation. Our research focuses on the adaptive strategies of non-financial firms
Zhu L, Wang Y, Zhang Q.
europepmc +2 more sources